祈祷高顿网校全体的学员们05年5月份SOA往年真题北美地区精算师ExamC(四)能完全吃透。
  12. You are given the following with respect to Stock X:
  ? Stock price today: 10
  ? Stock price one year from today: either 12 or 7
  ? Call option strike price: 11
  The annual interest is 5%.
  Calculate the no-arbitrage call option price on Stock X as of today.
  (A) 0.67
  (B) 0.74
  (C) 1.40
  (D) 1.47
  (E) 3.33
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  Morning Session
  13. For a portfolio of investment-grade fixed-income securities, rank the following factors by
  their impact on the portfolio return from greatest to least.
  (A) Duration management, individual bond selection, sector selection
  (B) Duration management, sector selection, individual bond selection
  (C) Individual bond selection, duration management, sector selection
  (D) Individual bond selection, sector selection, duration management
  (E) Sector selection, individual bond selection, duration management
  14. You are given the following information with respect to a stock portfolio:
  Stock Portfolio Proportion β
  A 75% 1.25
  B 25% 1.45
  The market risk premium is 4%.
  Calculate the risk premium of the portfolio.
  (A) 5.0%
  (B) 5.2%
  (C) 5.4%
  (D) 5.6%
  (E) 5.8%
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  15. You are given the following with respect to a portfolio of zero-coupon bonds:
  Bond Current Value Maturity Value Time to Maturity
  A 1000 1081.60 2 years
  B 1000 1215.51 4 years
  Calculate the yield-to-maturity for this portfolio.
  (A) 4.3%
  (B) 4.5%
  (C) 4.7%
  (D) 9.6%
  (E) 10.0%
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  16-20. Each of questions 16 through 20 consists of two lists. In the list at the left are two items,
  lettered X and Y. In the list at the right are three items, numbered I, II and III. ONE of
  the lettered items is related in some way to EXACTLY TWO of the numbered items.
  Indicate the related items using the following answer code:
  Lettered Item
  Is Related to Numbered Items
  (A)
  X
  I and II only
  (B)
  X
  II and III only
  (C)
  Y
  I and II only
  (D)
  Y
  I and III only
  (E)
  The correct answer is not given by (A), (B), (C) or (D).
  16. X. Bonds I. Residual claim
  Y. Common stock II. Limited liability
  III. Maturity date
  17. X. Combination by formula I. Equivalent to purchasing an option
  Y. Multiple asset performance II. Assumes that the immunization
  target return exceeds either the
  minimum return or the expected
  worst case active return
  III. Active management proportion will
  vary inversely with the minimal
  acceptable return
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  Morning Session
  18. X. Immunization strategy I. Transactions are a function of
  volatility and time
  Y. Total-return strategy II. Explicitly considers real-world
  constraints such as tax effects,
  regulatory restrictions and GAAP
  accounting
  III. Manager may take advantage of a
  perceived change in value in the
  market
  19. X. Rainbow options I. Knockout options
  Y. Barrier options II. Based on the maximum or minimum
  of the values of several assets
  III. Often arise as part of a structured
  security
  20. X. Spread analysis I. Compares the total return and
  duration of various assets
  Y. Relative return value analysis II. Analyzes prices and yields by bond
  market sector
  III. Uses regression to determine
  portfolio expectations
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  Morning Session
  21-26. Questions 21 through 26 consist of an assertion in the left-hand column and a reason in
  the right-hand column. Code your answer to each question by blackening space:
  (A) If both the assertion and the reason are true statements, and the reason is a correct
  explanation of the assertion.
  (B) If both the assertion and the reason are true statements, but the reason is NOT a
  correct explanation of the assertion.
  (C) If the assertion is a true statement, but the reason is a false statement.
  (D) If the assertion is a false statement, but the reason is a true statement.
  (E) If both the assertion and the reason are false statements.
  21.
  ASSERTION
  Discounting the scheduled stream
  of cash flows by the forward rates
  provides the market value of a
  callable bond.
  BECAUSE
  REASON
  Forward rates can be used to
  determine the value of any stream
  of fixed cash flows.
  请记住,环境愈艰难困苦,就愈需要坚定毅力和信心,而且,懈怠的害处也就愈大。——高顿网校精品语录